"Optimal Stopping of Linear Diffusions"
Abstract: Finding optimal times to sell a house, to retire, or to hire or fire employees requires solving optimal stopping problems. In this talk, we will show that optimal stopping problems of linear diffusions can be directly solved by means of the generalized concave functions and illustrate the solution method on several numerical examples.
Date: Tuesday, December 17, 2013
Place: Mathematics Seminar Room, SA-141
Tea and cookies will be served before the seminar.